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Sterling ratio. The Sterling ratio ( SR) is a measure of the risk-adjusted return of an investment portfolio . While multiple definitions of the Sterling ratio exist, it measures return over average drawdown, versus the more commonly used max drawdown. [citation needed] While the max drawdown looks back over the entire period and takes the ...
Omega ratio. The Omega ratio is a risk-return performance measure of an investment asset, portfolio, or strategy. It was devised by Con Keating and William F. Shadwick in 2002 and is defined as the probability weighted ratio of gains versus losses for some threshold return target. [1] The ratio is an alternative for the widely used Sharpe ratio ...
The drawdown duration is the length of any peak to peak period, or the time between new equity highs. The max drawdown duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred.
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To calculate ROI, you need to know the price that was paid for the investment and the price the investment will be sold for. To determine the net return on the investment, you subtract the ...
Ulcer index. The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, [1] and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It is a measure of downwards volatility, the amount of drawdown or retracement over a period. [2]
The time-weighted return is a measure of the historical performance of an investment portfolio which compensates for external flows. External flows refer to the net movements of value into or out of a portfolio, stemming from transfers of cash, securities, or other financial instruments. These flows are characterized by the absence of a ...
Value at risk ( VaR) is a measure of the risk of loss of investment/Capital. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. VaR is typically used by firms and regulators in the financial industry to gauge the amount of assets needed to cover ...
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